I had the same problem before...I used to spend so much time applying, then reapplying just to get the pigmentation I want. And even after reapplying three or more times on each eye I would end up with most of it gone in only a couple hours!!! That was before I discovered NYX...
It's very affordable, about 3-4 bucks or even cheaper in some places like at the Fragrance Outlet, and it is VERY pigmented. IMHO they are very comparable to the quality of MAC, and even MAC MUAs have complemented me for my e/s when I was wearing all NYX shadows (which always made my day, of course)!!!
Also, I agree with what everyone said about using a good e/s base...that's good that you now own UDPP...I heard rave reviews about it, although I have yet to get me one myself this weekend (YAY!). Also, like Bexy mentioned, you can also use other bases such as a cream base or eye crayons/shadesticks like MAC's. I use NYX jumbo pencil in yogurt as a base, and my shadow stays on all day. Paired up with concealer underneath first before the NYX eye pencil, I even have trouble taking off my makeup at night if I don't use my trusty eye mu remover. Like others have already mentioned, good brushes are also key. I love Sonia Kashuk's brushes from Target. They're only 3.99 and up!!!
Good luck girlie!